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Showing 1 to 1 of 1 for “"; Very Fast Fourier Transform; VFFT"”.

  1. Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform

    Fadel, Sayed M.University of Bradford2011

    … by semi-explicit techniques, i.e. via the DFT's Fast form (FFT) and the proposed Very Fast form (VFFT). This technique through its fast and very fast forms reduce the computational complexity from O(N2) to, respectively, O(N log2 N ) and O(N ).

    bradford Repository record